Harris, Lawrence and Venkatesh Panchapagesan, “The
Information-Content of the Limit Order Book: Evidence from NYSE Specialist
Trading Decisions,” forthcoming, Journal of Financial Markets, 2005.
Fridman, Moshe and
Harris, Lawrence and Joel Hasbrouck, "Market Versus
Limit Orders: The SuperDOT Evidence on Order Submission Strategy," Journal
of Financial and Quantitative Analysis, v. 31, no. 2, June 1996, 213-231.
Harris,
Harris, Lawrence, "Minimum Price Variations, Discrete Bid/Ask Spreads and Quotation Sizes," Review of Financial Studies v. 7, no. 1, 1994, 149-178.
Harris, Lawrence, "Consolidation,
Fragmentation, Segmentation and Regulation," Financial Markets,
Institutions & Instruments (formerly the NYU Salomon Center
Monograph Series in Finance and Economics) v. 2, no. 5, December 1993, 1-28
(lead article). Reprinted in Global Equity Markets: Technological,
Competitive and Regulatory Challenges, Robert A. Schwartz, Editor; Irwin:
Harris,
Harris,
Harris, Lawrence, "Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator," Journal of Finance v. 45, no. 2, June 1990, 579-590.
Harris,
Harris,
Harris, Lawrence, "The October 1987 S&P 500 Stock-Futures Basis," Journal of Finance v. 44, no. 1, March 1989, 77-99.
Harris,
Glosten, Lawrence and Lawrence Harris, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics v. 21 no. 1, May 1988, p. 123-142.
Harris, Lawrence, "Transactions Data Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis v. 22 no. 2, June 1987, p. 127-141 (lead article).
Harris, Lawrence and Eitan Gurel, "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures," Journal of Finance v. 41 no. 4, September 1986, p. 815-829.
Harris,
Harris, Lawrence, "Cross-security Tests of the Mixture of Distributions Hypothesis," Journal of Financial and Quantitative Analysis v. 21 no. 1, March 1986, p. 39-46.
Harris, Lawrence, "How to Profit from Intradaily Stock Returns," Journal of Portfolio Management v. 12 no. 2, Winter 1986, p. 61-64.
Harris, Lawrence, "Optimal Dynamic Order Submission Strategies in Some Stylized Trading Problems," forthcoming, Financial Markets, Institutions & Instruments, 1998.
Harris, Lawrence, "Liquidity, Trading Rules and Electronic Trading Systems," New York University Salomon Center Monograph Series in Finance and Economics, Monograph 1990-4, December 1990 (refereed).
Harris, Lawrence, "Circuit Breakers and Program Trading Limits: What Have We Learned?," Brooking-Wharton Papers on Financial Services, 1998.
Harris, Lawrence, "Brokerage, Market Fragmentation, and Securities
Market Regulation: Comment," in The Industrial Organization and
Regulation of the Securities Industry, Andrew W. Lo, editor, The University
of Chicago Press:
Harris, Lawrence, "Consolidation, Fragmentation, Segmentation and Regulation," Abstract, Journal of Finance v. 48, no. 3, July 1993, 1092-3.
Harris, Lawrence, "On the Existence of an Optimal Tick Size: Comment," The Review of Futures Markets v. 10 no. 1, May 1992, 73-74.
Harris,
Harris,
Harris, Lawrence, "Statistical Analysis of Price and Basis Behavior, October 12- 25, 1987, S&P 500 Futures and Cash: Commentary," The Stock Market: Bubbles, Volatility and Chaos, Gerald P. Dwyer, Jr. and Rick Hafer, editors, Proceedings of the Federal Reserve Bank of Saint Louis 1988 Economic Policy Conference: Kluwer, 1989, p. 171-174.
Harris, Lawrence, "The Dangers of Regulatory Overreaction to the October 1987 Stock Market Crash," Cornell Law Review v. 74 no. 5, July 1989, 927-942.
Harris, Lawrence, "Predicting Contemporary Volume with Historic Volume at Differential Price Levels--Evidence Supporting the Disposition Effect: Discussion," Journal of Finance v. 43 no. 3, July 1988, p 698-699.
Glosten, Lawrence and Lawrence Harris, "Estimating the Components of the Bid/Ask Spread," Proceedings of the Seminar on the Analysis of Security Prices v. 30 no. 2, November 1985, p. 349-382.
Harris, Lawrence, "Weekly and Intradaily Patterns in Stock Returns," Proceedings of the Seminar on the Analysis of Security Prices v. 29 no. 2, November 1984, p. 253-276.
Harris, Lawrence, "The Regulatory
Impediments to Viable Cash Index Securitization," in Modernizing US
Securities Regulation: Economic and Legal Perspectives, Kenneth Lehn and
Robert Kamphuis, Editors; Business One Irwin:
Harris, Lawrence, "The October 1987 Stock Market Crash: Lingering
Vulnerabilities? The Dangers of Regulatory Overreaction," Economic
Vulnerabilities: Challenges For Policy Makers, Susan Irving, Editor; Curry
Foundation:
Harris,
Harris, Lawrence and Michael S. Piwowar,
“Municipal Bond Liquidity,” December 2003, under review at the Journal of Finance.
Coughenour, Jay F. and Lawrence Harris,
“Specialist Profits and the Minimum Price Increment,” September 2003, under
review at the Review of Financial Studies.
Dutt, Hans R. and Lawrence Harris,
“Position Limits for Cash Settled Derivative Contracts,” November 2003, under
review at the Journal of Financial Markets.
Harris, Lawrence, "Does a Large Minimum
Price Variation Encourage Order Exposure?," October 1996.
Harris, Lawrence, "Trading in Pennies: A Survey of the Issues," November 1999.
Harris,
Harris, Lawrence, "Decimalization: A Review of the Arguments and Evidence," April 3, 1997.
Harris,
Harris, Lawrence, "Stock Price Clustering, Discreteness and Bid/Ask Spreads," December 1989.
Harris, Lawrence, "The Power of the Roll Serial Covariance Bid/Ask Spread Estimator," February 1989.
Harris,
Harris, Lawrence, "Testimony on H.R. 1053: The Common Cents Stock Pricing Act of 1997," presented to U.S. House of Representatives, Committee on Commerce, Subcommittee on Finance and Hazardous Materials, forthcoming, Federal Register, April 16, 1997.
Return to Larry Harris's home page
Last revised August 26, 2004.